{smcl}
{* 14jan2022}{...}
{cmd:help mata mm_hdq()}
{hline}

{title:Title}

{p 4 4 2}
{bf:mm_hdq() -- Harrell-Davis quantiles}


{title:Syntax}

{p 8 23 2}
{it:real matrix}{bind:    }
{cmd:mm_hdq(}{it:X} [{cmd:,} {it:w}{cmd:,} {it:P}{cmd:,} {it:fw}{cmd:,} {it:wd}]{cmd:)}

{p 8 23 2}
{it:real rowvector}{bind: }
{cmd:mm_hdmed(}{it:X} [{cmd:,} {it:w}{cmd:,} {it:fw}{cmd:,} {it:wd}]{cmd:)}

{p 8 23 2}
{it:real rowvector}{bind: }
{cmd:mm_hdiqr(}{it:X} [{cmd:,} {it:w}{cmd:,} {it:fw}{cmd:,} {it:wd}]{cmd:)}

{p 8 23 2}
{it:real colvector}{bind: }
{cmd:_mm_hdq(}{it:x} [{cmd:,} {it:w}{cmd:,} {it:P}{cmd:,} {it:fw}{cmd:,} {it:wd}]{cmd:)}

{p 8 23 2}
{it:real scalar}{bind:    }
{cmd:_mm_hdmed(}{it:x} [{cmd:,} {it:w}{cmd:,} {it:fw}{cmd:,} {it:wd}]{cmd:)}

{p 8 23 2}
{it:real scalar}{bind:    }
{cmd:_mm_hdiqr(}{it:x} [{cmd:,} {it:w}{cmd:,} {it:fw}{cmd:,} {it:wd}]{cmd:)}

{p 4 8 2}
where

{p 14 18 2}{it:X}:  {it:real matrix} containing data (rows are observations, columns variables)

{p 14 18 2}{it:x}:  {it:real colvector} containing data (single variable)

{p 14 18 2}{it:w}:  {it:real colvector} containing weights

{p 14 18 2}{it:P}:  {it:real matrix} containing evaluation probabilities; default is {it:P} = (0, .25, .5, .75, 1)'

{p 13 18 2}{it:fw}:  {it:real scalar} causing weights to be interpreted as frequency weights

{p 13 18 2}{it:wd}:  {it:real scalar} setting width of evaluation interval for trimmed Harrell-Davis
estimator (Akinshin 2021); {it:wd}<=0 sets the width to 1/sqrt(n), where n is the effective sample size; 
0<{it:wd}<1 sets the width to {it:wd}; {it:wd}>=1 uses the untrimmed estimator;
the untrimmed estimator is also used if {it:wd} is omitted or set to missing


{title:Description}

{pstd}
{cmd:mm_hdq()} computes quantiles of {it:X} as proposed by Harrell and Davis
(1982; also see Akinshin 2020). {cmd:mm_hdq()} is a wrapper for
{helpb mf_mm_quantile:mm_quantile()} with {it:def} set to 10. That is 
{cmd:mm_hdq(}{it:X}{cmd:,} {it:w}{cmd:,} {it:P}{cmd:,} {it:fw}{cmd:,} {it:wd}{cmd:)} is 
equivalent to {cmd:mm_quantile(}{it:X}{cmd:,} {it:w}{cmd:,} {it:P}{cmd:, 10,} {it:fw}{cmd:,} {it:wd}{cmd:)}.

{pstd}
Harrell-Davis quantiles tend to have better small-sample properties
(smaller sampling variance) than the other quantile definitions supported by
{helpb mf_mm_quantile:mm_quantile()}, but their computation is less 
efficient if multiple quantiles are to be estimated (computer time grows linearly
with the number of quantiles because a separate run
across the data is required for each quantile; for the other
definitions, all quantiles can be computed in a single run across the data).

{pstd}
{cmd:mm_hdmed()} and {cmd:mm_hdiqr()} are wrappers computing the median and the
inter-quartile range, respectively.

{pstd}
{cmd:_mm_hdq()}, {cmd:_mm_hdmed()}, and {cmd:_mm_hdiqr()} are
like {cmd:mm_hdq()}, {cmd:mm_hdmed()}, and {cmd:mm_hdiqr()}, but assume
that the data is sorted (in ascending order) and non-missing and that the
weights are non-negative and non-missing. Only a
single column of data is allowed as input to these functions.


{title:Example}

    . {stata "mata:"}
    : {stata x = rnormal(10000, 1, 0, 1)}
    : {stata mm_hdq(x, 1, (0.25 \ 0.5 \ 0.75))}
    : {stata mm_hdmed(x), mm_hdiqr(x)}
    : {stata end}


{title:Conformability and diagnostics}

{pstd}
See help {helpb mf_mm_quantile:mm_quantile()}.


{title:Source code}

{pstd}
{help moremata_source##mm_hdq:mm_hdq.mata}


{title:References}

{phang}
    Akinshin, A. (2020). Weighted quantile 
    estimators. {browse "http://aakinshin.net/posts/weighted-quantiles/"}.
    {p_end}
{phang}
    Akinshin, A. (2021). Trimmed Harrell-Davis quantile estimator based on the
    highest density interval of the given 
    width. {browse "http://arxiv.org/abs/2111.11776":arXiv:2111.11776} [stat.ME].
    {p_end}
{phang}
    Harrell, F.E., C.E. Davis (1982). A New Distribution-Free Quantile
    Estimator. Biometrika 69: 635-640.
    {p_end}


{title:Author}

{pstd}
Ben Jann, University of Bern, ben.jann@unibe.ch


{title:Also see}

{p 4 13 2}
Online:  help for
{bf:{help mf_mm_quantile:mm_quantile()}},
{bf:{help moremata}}
